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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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Average skewness in global equity markets
Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 245-271
Persistent link: https://www.econbiz.de/10014326300
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Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index
Stavroyiannis, S.; Makris, I.; Nikolaidis, V. - In: International review of financial analysis 19 (2010) 1, pp. 19-24
Persistent link: https://www.econbiz.de/10008668732
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Theta neutral gamma hedging
Högholm, Kenneth; Sundkvist, Kim - In: Contributions to accounting and finance : essays in …, (pp. 39-59). 2007
Persistent link: https://www.econbiz.de/10003612762
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
domestic volatility after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
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Value-at-risk analysis for Asian emerging markets : asymmetry and fat tails in returns innovation
Kang, Sang Hoon; Yoon, Seong-min - In: The Korean economic review 50 (2009) 2, pp. 387-411
Persistent link: https://www.econbiz.de/10003926834
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On the relationship between weather and stock market returns
Floros, Christos - In: Studies in economics and finance 28 (2011) 1, pp. 5-13
Persistent link: https://www.econbiz.de/10009007582
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A comparison of tail behaviour of stock market returns
Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
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Size matters : tail risk, momentum and trend following in international equity portfolios
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531062
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Volatility of the European stock market indices during the global financial crisis : a new proposal of stochastic volatility
Pinho, Frank M. de; Santos, Thiago R. dos - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 107-126
This paper estimates the volatility of most important European stock market indices during the global financial crisis … started in 2008, such as DAX, CAC40, FTSE100, among others. The estimation of volatility is made from a new family of … stochastic volatility models proposed by Santos, Franco, Gamerman [33, 17] and extended to distributions of heavy tails by Pinho …
Persistent link: https://www.econbiz.de/10009769894